A NOTE ON CONTINUOUS-TIME ELS

被引：7
|
作者：
GUO, L [1 ]
机构：
[1] CHINESE ACAD SCI,INST SYST SCI,BEIJING 100080,PEOPLES R CHINA
来源：
SYSTEMS & CONTROL LETTERS | 1994年 / 22卷 / 02期
基金：
中国国家自然科学基金;
关键词：
STOCHASTIC SYSTEMS; EXTENDED LEAST SQUARES; STOCHASTIC DIFFERENTIAL EQUATION;
D O I：
10.1016/0167-6911(94)90105-8
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
The parameter estimation of continuous-time finite-dimensional linear stochastic systems is a problem of long-standing interest. The method usually used is the extended least-squares (ELS) algorithm described by a nonlinear stochastic differential equation (SDE), with the existence of the global strong solution assumed. This paper shows that the ELS estimate does exist in [0, infinity), and at the same time presents a number of convergence results paralleling those for the discrete-time case.
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页码：111 / 121
页数：11
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